Coarse-Grid Sampling Interpolatory Methods for Approximating Gaussian Random Fields

DOI10.1137/120883311zbMath1401.60094OpenAlexW2080813767MaRDI QIDQ5397872

Max D. Gunzburger, Marta D'Elia

Publication date: 25 February 2014

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/120883311

zbMATH Keywords

interpolationCholesky factorizationrandom fieldslow-rank approximationspiecewise polynomial approximationKarhunen-Loève expansioncovariance functionsgrid-based sampling

Mathematics Subject Classification ID

Random fields (60G60) Sampling theory, sample surveys (62D05) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Numerical interpolation (65D05) Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs (65N50) Analysis of variance and covariance (ANOVA) (62J10)

Related Items

Monte Carlo algorithm for vector-valued Gaussian functions with preset component accuracies, Fast sampling of parameterised Gaussian random fields, Uncertainty quantification for Maxwell's eigenproblem based on isogeometric analysis and mode tracking, Sparse operator compression of higher-order elliptic operators with rough coefficients, Analysis of Boundary Effects on PDE-Based Sampling of Whittle--Matérn Random Fields